The impact of own-country, USA and China's economic policy uncertainty on stock market returns: evidence from war, epidemic and financial crisis periods
by Hassen Guenichi; Hamdi Khalfaoui; Néjib Chouaibi
International Journal of Sustainable Economy (IJSE), Vol. 13, No. 2, 2021

Abstract: The question of the economic policy uncertainty (EPU) and its effects on the stock market returns in shock periods is rarely addressed by the literature. Thus, we are motivated to provide new insights into the study of these effects based on dynamic panel data for own-country, USA and China's economic policy uncertainty over the period 2000Q1 to 2019Q4. These effects are also re-examined in the epidemic, war and financial crisis periods. Indeed, our empirical results show that the nexus between EPU and stock market returns is negative and statistically significant for own-country and has a mixed significant effect for the USA and China. Moreover, the epidemic, war, and financial crisis reduce the negative effects and raise the positive one of EPU on stock market returns in different countries.

Online publication date: Wed, 28-Apr-2021

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